It seems to be related to the pixel shaders that I am using to animate the particle. In a nutshell, I have a texture2d in vector4 format that holds particle positions, and another one for velocities. Here is a snippet from that area:

Sadly, this does not help, I get still the same exception
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Mr BellNov 18 '11 at 15:11

What should each of these states be set to?
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Mr BellNov 18 '11 at 16:28

I checked the states of these before and after the spriteBatch.begin() and with my particle system turned on and off, and they are always the same. DepthStencilState = none, BlendSate = AlphaBlend, and RasterizerState = CullCounterClockwise
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Mr BellNov 18 '11 at 18:48

I set the SamplerStates on element 1 instead of 0 and it works now. Thanks
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Mr BellNov 18 '11 at 18:51